Teknolojik İnovasyon ve Kripto Para Piyasaları: Momentum ve Zıtlık Anomalilerinin Test Edilmesi

Bu çalışma, kripto para piyasasında var olabilecek hem momentum hem de zıtlık anomalilerini (stratejilerini) Bitcoin odağında incelemeyi amaçlamaktadır. 02.02.2012 ile 27.02.2020 tarihleri arasındaki Bitcoin fiyatları günlük olarak alınmıştır ve Kim (2009) tarafından önerilen wild bootstrap automatic variance ratio (WBAVR) testinde kullanılmıştır. Bu test, finansal zaman serilerinin temel özellikleri olan normal olmayan ve koşullu değişen varyanslılığa karşı güçlüdür, bu nedenle momentum ve zıt etkileri ölçmek için geçerli bir testtir. Çalışmada elde edilen sonuçlara göre: (1) Bitcoin fiyat hareketlerinde hem momentum hem de zıt anomalilerin varlığı görülmektedir; (2) Bitcoin fiyatları genellikle geçmiş fiyat hareketleriyle tahmin edilmektedir; (3) Anormal getirilerin, momentum stratejisine kıyasla zıt strateji kullanılarak elde edilmesi daha olasıdır. Bu çalışma, geçmiş fiyat hareketleri ile bir yatırım stratejisi izleyen tasarruf sahiplerine, portföy yöneticilerine ve kurumsal yatırımcılara Bitcoin fiyat hareketleri hakkında önemli bilgiler vermektedir.

Technological Innovation and Cryptocurrency Markets: Testing Momentum and Contrarian Anomalies

This study aims to investigate both the momentum and contrarian anomalies (strategies) that may exist in the cryptocurrency market, focusing especially on Bitcoin. Daily Bitcoin prices were taken from a period starting 02.02.2012 and ending 27.02.2020 and used in the wild bootstrap automatic variance ratio (WBAVR) test proposed by Kim (2009). This test is robust to non-normality and conditional heteroscedasticity which are the main characteristics of financial time series, therefore, making it a valid test to be used to measure the momentum and contrarian effects. Results of the study demonstrate that: (1) There are both momentum and contrarian anomalies in Bitcoin price movements; (2) Bitcoin prices are generally predicted with the past price movements; (3) Abnormal returns are more likely to be obtained by employing contrarian strategy compared to momentum strategy. This study gives important information about the Bitcoin price movements to savings owners, portfolio managers and institutional investors who follow an investment strategy with past price movements. Keywords: Bitcoin, Blockchain, Momentum Anomaly, Contrarian Anomaly, Cryptocurrency.

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